Import Step ASM as internal files

I'm importing a step asm and have disabled 3D Interconnect to break the link to the external step.

But when I save, this doesn't give me the option to save the files as internal files, I end up with all 30 files in my Windows folder.

With 3D Interconnect enabled the files are internal to the asm but externally linked.

Is it possible to save internally or convert an asm from external to internal files?

Cheers